|
| BarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const ext::shared_ptr< StrikedTypePayoff > &payoff, const ext::shared_ptr< Exercise > &exercise) |
|
void | setupArguments (PricingEngine::arguments *) const override |
|
Volatility | impliedVolatility (Real price, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const |
|
Volatility | impliedVolatility (Real price, const ext::shared_ptr< GeneralizedBlackScholesProcess > &process, const DividendSchedule ÷nds, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const |
|
| OneAssetOption (const ext::shared_ptr< Payoff > &, const ext::shared_ptr< Exercise > &) |
|
bool | isExpired () const override |
| returns whether the instrument might have value greater than zero. More...
|
|
Real | delta () const |
|
Real | deltaForward () const |
|
Real | elasticity () const |
|
Real | gamma () const |
|
Real | theta () const |
|
Real | thetaPerDay () const |
|
Real | vega () const |
|
Real | rho () const |
|
Real | dividendRho () const |
|
Real | strikeSensitivity () const |
|
Real | itmCashProbability () const |
|
void | fetchResults (const PricingEngine::results *) const override |
|
| Option (ext::shared_ptr< Payoff > payoff, ext::shared_ptr< Exercise > exercise) |
|
void | setupArguments (PricingEngine::arguments *) const override |
|
ext::shared_ptr< Payoff > | payoff () const |
|
ext::shared_ptr< Exercise > | exercise () const |
|
| Instrument () |
|
Real | NPV () const |
| returns the net present value of the instrument. More...
|
|
Real | errorEstimate () const |
| returns the error estimate on the NPV when available. More...
|
|
const Date & | valuationDate () const |
| returns the date the net present value refers to. More...
|
|
template<typename T > |
T | result (const std::string &tag) const |
| returns any additional result returned by the pricing engine. More...
|
|
const std::map< std::string, ext::any > & | additionalResults () const |
| returns all additional result returned by the pricing engine. More...
|
|
void | setPricingEngine (const ext::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. More...
|
|
| LazyObject () |
|
| ~LazyObject () override=default |
|
void | update () override |
|
bool | isCalculated () const |
|
void | forwardFirstNotificationOnly () |
|
void | alwaysForwardNotifications () |
|
void | recalculate () |
|
void | freeze () |
|
void | unfreeze () |
|
| Observable () |
|
| Observable (const Observable &) |
|
Observable & | operator= (const Observable &) |
|
| Observable (Observable &&)=delete |
|
Observable & | operator= (Observable &&)=delete |
|
virtual | ~Observable ()=default |
|
void | notifyObservers () |
|
| Observer ()=default |
|
| Observer (const Observer &) |
|
Observer & | operator= (const Observer &) |
|
virtual | ~Observer () |
|
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
|
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
|
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
|
void | unregisterWithAll () |
|
virtual void | update ()=0 |
|
virtual void | deepUpdate () |
|